If one skipped והוא רחום and the extra paragraphs in Tachanun on Monday and Thursday should he go back to say them if he finished Tachanun or even the rest of Davening?
See Mishnah Berura commentary #3 on O.C. 134:1. He explains that one who didn't say Vehu Rachum at all is called poretz geder - "breaching the fence".
The term poretz geder is used regarding anyone who violates a strongly established custom. Even if the environment or conditions that established a custom no longer exist, we are extremely reluctant to abolish the custom without the ruling of a Sanhedrin. This term is used selectively, and it seems that it's a fairly severe term.
While there is nothing specific in O.C. stating what to do if one accidentally skips Vehu Rachum, I think that the labeling of someone as a poretz geder would obligate him to repeat it at some point during davening.